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About Risk Process Estimation Techniques Employed By A Virtual Organization Which Is Directed Towards The Insurance Business

Author

Listed:
  • Covrig Mihaela

    (Academia de Studii Economice din Bucuresti, Facultatea de Cibernetica, Statistica si Informatica Economica)

  • Serban Radu

    (Academia de Studii Economice din Bucuresti, Facultatea de Cibernetica, Statistica si Informatica Economica)

Abstract

In a virtual organization directed on the insurance business, the estimations of the risk process and of the ruin probability are important concerns: for researchers, at the theoretical level, and for the management of the company, as these influence the insurer strategy. We consider the evolution over an extended period of time of the insurer surplus process. In this paper, we present some methods for the estimation of the ruin probability and for the evaluation of a reserve fund. We discuss the ruin probability with respect to: the parameters of the individual claim distribution, the load factor of premiums and the intensity parameter of the number of claims process. We analyze the model in which the premiums are computed according to the mean value principle. Also, we attempt the case when the initial capital is proportional to the expected value of the individual claim. We give numerical illustration.

Suggested Citation

  • Covrig Mihaela & Serban Radu, 2008. "About Risk Process Estimation Techniques Employed By A Virtual Organization Which Is Directed Towards The Insurance Business," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 2(1), pages 841-847, May.
    • Handle: RePEc:ora:journl:v:2:y:2008:i:1:p:841-847
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    References listed on IDEAS

    as
    1. Grandell, Jan, 2000. "Simple approximations of ruin probabilities," Insurance: Mathematics and Economics, Elsevier, vol. 26(2-3), pages 157-173, May.
    2. Li, Shuanming & Garrido, José, 2005. "Ruin Probabilities for Two Classes of Risk Processes," ASTIN Bulletin, Cambridge University Press, vol. 35(1), pages 61-77, May.
    3. Dickson, David C.M. & Willmot, Gordon E., 2005. "The Density of the Time to Ruin in the Classical Poisson Risk Model," ASTIN Bulletin, Cambridge University Press, vol. 35(1), pages 45-60, May.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    virtual organization; ruin probability; risk process; adjustment coefficient;
    All these keywords.

    JEL classification:

    • G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
    • J21 - Labor and Demographic Economics - - Demand and Supply of Labor - - - Labor Force and Employment, Size, and Structure
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty

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